Hostname: page-component-7bb8b95d7b-cx56b Total loading time: 0 Render date: 2024-09-12T04:13:51.705Z Has data issue: false hasContentIssue false
  • English
  • Français

Default Risk, Yield Spreads, and Time to Maturity

Published online by Cambridge University Press:  06 April 2009

Ricardo J. Rodriguez
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper extends the default model of yield spreads for bonds by showing that, in general, they are a complex function of maturity and, in particular, are not always monotonically increasing, contrary to what one traditional view suggests. Our results may help explain the apparently conflicting empirical results found in the literature.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 1 , March 1988 , pp. 111 - 117
Copyright
Copyright © School of Business Administration, University of Washington 1988

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bierman, H., and Hass, J.. “An Analytical Model of Bond Risk Differentials.'’ Journal of Financial and Quantitative Analysis, 10 (12 1975), 757–773.CrossRefGoogle Scholar
Mclnish, T. H. “Behavior of Municipal Bond Default-Risk Premiums by Maturity.” Journal of Business Research, 8 (12 1980), 413–418.CrossRefGoogle Scholar
Robinson, R. I. “Postwar Market for State and Local Government Securities.” New York: National Bureau of Economic Research (1960), 184–188.Google Scholar
Van Home, J. C. “Behavior of Default-Risk Premiums for Corporate Bonds and Commercial Paper.” Journal of Business Research, 7 (12 1979), 301–313.Google Scholar
Yawitz, J. “An Analytical Model of Interest Rate Differentials and Different Default Recoveries.” Journal of Financial and Quantitative Analysis, 12 (09 1977), 481–490.CrossRefGoogle Scholar
Yawitz, J.; Maloney, K.; and Ederington, L.. “Taxes, Default Risk, and Yield Spreads.” Journal of Finance, 40 (09 1985), 1127–1140.CrossRefGoogle Scholar